You're going to need a peer to peer downloading software. I personally use uTorrent, as it's very simplistic program. Download uTorrent, install it. Go to the Katawa Shoujo website, and you can download a torrent file. Either it will work automatically like it does for me, or you'll have to open it and Katawa Shoujo should start downloading. Once it's done, open up your downloads folder and it should be there.